单选题

The relevant 1-year,2-year, and 3-year spot rates are 3.25%,3.35%, and 3.65%.A 3-year annual-pay bond with a 7% coupon rate and a $10000 face value is priced at$10850.What is the amount of potential arbitrage profit available from the mis-pricing of this bond?(     )

【正确答案】 C
【答案解析】

The fair price of the bond is 700/1.0325+700/1.03352+10700/1.03653=$10942.The arbitrage profits available are $92.